COVID-19 and Seasonal Adjustment

Abstract

AbstractIn this paper we study the impact of COVID-19 on seasonal adjustment. We focus on whether special adjustments are required to treat the COVID-19 crisis as an outlier as suggested by Eurostat in the application of three seasonal adjustment procedures: X13-ARIMA-SEATS, the industry standard, Seasonal-Trend decomposition based on Loess (STL) and a new method CAMPLET, a acronym of its tuning parameters. In addition we investigate whether revisions occur. We show results of seasonal adjustments for the quarterly series real GDP in the Netherlands, and the weekly series U.S. Initial Claims. Seasonal adjustment with X13-ARIMA-SEATS and CAMPLET requires modifications in the implementation of the standard procedure to treat the COVID-19 crisis as an outlier; STL can be applied straightforwardly. Differences in seasonally adjusted values are generally small around COVID-19. Finally, X13-ARIMA-SEATS and STL seasonal adjustments are subject to revision, which probably will lead to the COVID-19 crisis becoming less deep when new observations become available.